Interactive Principle-Based Reserves Model
By Society of Actuaries · 2020
Study guide: Exam ILA-201U
An Excel workbook with a model of a future VM-20 principle-based reserve calculation, including the deterministic reserve and net premium reserve components, which the SOA syllabus lists as a reading. It illustrates one 20-year level term policy issued at age 45 on January 1, 2018 for $100,000 face amount, and sets questions on margins and on the stochastic exclusion ratio test, with an answer key.
On the syllabus
- Exam ILA-201U — Outcomes 1a; the interactive model, with no sheets or questions singled out (as the syllabus states it)
LEGAL DISCLAIMER
Instructions
- Overview of the spreadsheet, expectations for candidates, the spreadsheet assignments (questions on margin analysis, the exclusion test and net premium reserve versus deterministic reserve), product and portfolio descriptions, timing conventions and tab colour scheme.
Summary
- High-level summary of key projected deterministic reserve results with and without margins, with graphs of the deterministic reserve, the dollar of margin and the percent of margin.
Deterministic Reserve
- Recursive calculation of the deterministic reserve using the deterministic gross premium reserve assumptions, margin testing options and sensitivity testing options from the Input tab, with and without margins.
Net Premium Reserve
- Net premium reserve calculation using the VM-20 prescribed assumptions and rules-based methodology.
Input
- User-controlled inputs.
Mortality Tables
- The company mortality table and industry mortality table used for the deterministic reserve calculation, and the prescribed mortality table used for the net premium reserve calculation.
Mortality Margins & Grading
- The margin inputs for the company and industry mortality in the deterministic reserve calculation, and the inputs that set the timing and speed at which company mortality grades into industry mortality.
Margin Analysis
- Asks the candidate to enter deterministic reserve results from the Summary tab with specified margins excluded, to measure the impact on the reserve.
Exclusion Test
- Asks the candidate to enter deterministic reserve results under specified risk-free interest rate scenarios, set up as a stochastic exclusion ratio test to determine whether the term product requires a stochastic reserve.
Answer Key
Answer - Margin Analysis
Answer - Exclusion Test
Prescribed Industry Mort Margin
AG38-VM20 Mort Improvement
Reserve Assumption Specifics
Sources
- Interactive Principle-Based Reserves Model (Society of Actuaries, Excel workbook) — the document: the sheet names and the Instructions sheet's overview, tab descriptions and product description (sha256 9775c069bf29e6e922e8d76578427b4d64136bcafbc98e0028b0e2066fd7b48c); the other sheets were not read; the workbook names no author or date, so SOA as issuer is taken from where it is published, and the year 2020 from the file's location under the SOA's 2020 spring intro-study-notes folder
- SOA Exam ILA-201U Syllabus, 2026-2027 — the reading's listing as "Interactive Principle-Based Reserves Model" with its link and the outcome it serves